CME vs. SCHD
CME (CME Group Inc.) is a stock, while SCHD (Schwab U.S. Dividend Equity ETF) is Dividend fund tracking the Dow Jones U.S. Dividend 100 Index. Over the past 10 years, CME returned 14.32%/yr vs 12.76%/yr for SCHD. Their 0.38 correlation means their historical movements had little consistent relationship.
Performance
CME vs. SCHD - Performance Comparison
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Returns By Period
In the year-to-date period, CME achieves a 0.93% return, which is significantly lower than SCHD's 24.03% return. Over the past 10 years, CME has outperformed SCHD with an annualized return of 14.32%, while SCHD has yielded a comparatively lower 12.76% annualized return.
CME
- 1D
- 0.21%
- 1M
- 13.18%
- 6M
- -4.65%
- YTD
- 0.93%
- 1Y
- -0.91%
- 3Y*
- 15.08%
- 5Y*
- 9.26%
- 10Y*
- 14.32%
- ALL TIME*
- 19.83%
SCHD
- 1D
- 0.18%
- 1M
- 3.33%
- 6M
- 14.09%
- YTD
- 24.03%
- 1Y
- 31.54%
- 3Y*
- 14.19%
- 5Y*
- 9.54%
- 10Y*
- 12.76%
- ALL TIME*
- 13.39%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $710.10M | $709.21M | $863.92M | |
| $786.88M | $715.86M | $685.58M |
CME vs. SCHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 0.93% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 9.67% | 32.15% | 32.35% |
SCHD Schwab U.S. Dividend Equity ETF | 24.03% | 4.34% | 11.66% | 4.54% | -3.26% | 29.87% | 15.03% | 27.29% | -5.56% | 20.85% |
Correlation
The correlation between CME and SCHD is 0.13, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.13 |
Correlation (3Y) Balances recent behavior with more history. | 0.13 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.27 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.34 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011 | 0.38 |
Over the past year, the correlation between CME and SCHD has dropped to 0.13 - well below their long-term average of 0.38, suggesting their price drivers have been diverging.
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Return for Risk
CME vs. SCHD — Risk / Return Rank
CME
SCHD
CME vs. SCHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CME Group Inc. (CME) and Schwab U.S. Dividend Equity ETF (SCHD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CME | SCHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.81 | ||
| Sortino ratioReturn per unit of downside risk | -4.21 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.51 | -0.49 |
| Calmar ratioReturn relative to maximum drawdown | -0.00 | 6.74 | -6.74 |
| Martin ratioReturn relative to average drawdown | -0.00 | 17.01 | -17.02 |
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Drawdowns
CME vs. SCHD - Drawdown Comparison
The maximum CME drawdown since its inception was -77.50%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for CME and SCHD.
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Drawdown Indicators
| CME | SCHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -77.50% | -33.37% | -44.13% |
Max Drawdown (1Y)Largest decline over 1 year | -31.09% | -4.61% | -26.48% |
Max Drawdown (3Y)Largest decline over 3 years | -31.09% | -16.13% | -14.96% |
Max Drawdown (5Y)Largest decline over 5 years | -31.74% | -16.85% | -14.89% |
Max Drawdown (10Y)Largest decline over 10 years | -37.36% | -33.37% | -3.99% |
Current DrawdownCurrent decline from peak | -15.58% | -1.24% | -14.34% |
Average DrawdownAverage peak-to-trough decline | -20.69% | -3.30% | -17.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.72% | 1.82% | +8.90% |
Volatility
CME vs. SCHD - Volatility Comparison
CME Group Inc. (CME) has a higher volatility of 7.71% compared to Schwab U.S. Dividend Equity ETF (SCHD) at 4.11%. This indicates that CME's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CME | SCHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.71% | 4.11% | +3.60% |
Volatility (6M)Calculated over the trailing 6-month period | 19.93% | 8.11% | +11.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.51% | 11.13% | +12.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.66% | 14.39% | +6.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.14% | 16.72% | +7.42% |
Dividends
CME vs. SCHD - Dividend Comparison
CME's dividend yield for the trailing twelve months is around 4.20%, more than SCHD's 3.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.20% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
SCHD Schwab U.S. Dividend Equity ETF | 3.13% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
Frequently Asked Questions
CME and SCHD have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (7.71%) compared to SCHD (4.11%). In terms of maximum drawdown, CME dropped -77.50% vs SCHD's -33.37%.
SCHD currently has the higher Sharpe Ratio (2.81 vs -0.00), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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